How to Password Protect Internet Explorer
(this should work in IE6,7 & 8)
Open up Internet Explorer
Click Tools
Click Internet Options
Click on the tab Content
Underneath 'Content Advisor', Click Enable
Then click on the tab General
Under 'Supervisor Password click Create
Make you password then click Ok.
Then Apply and finally Ok

If so, there is a way, but you need XP Pro. First allocate the user a Limited account.

Click on Start, Run and type in gpedit.msc and click OK.
In the Group Policy window, under User Configuration open the following..
[- ] Administrator Templates
[-] Windows Component
[+] NetMeeting
[+] Internet Explorer
Select Turn off Delete Browsing History and then on Properties.

Set to Enabled and Apply and close everything down.

That will show the Delete browser history as greyed out.

The Limited account will not allow re-enabling the functionality. If you retain an Admin account, you can.

I should add that this is also possible in Vista, but depending on the version, may need some tweaking!